Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0209 |
| Annualized Std Dev | 0.0981 |
| Annualized Sharpe (Rf=0%) | -0.2126 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3702.0000 |
| NAs | 1.0000 |
| Minimum | -0.0836 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0034 |
| Maximum | 0.0316 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0062 |
| Skewness | -1.0839 |
| Kurtosis | 13.2484 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0046 |
| Gain Deviation | 0.0039 |
| Loss Deviation | 0.0047 |
| Downside Deviation (MAR=210%) | 0.0103 |
| Downside Deviation (Rf=0%) | 0.0046 |
| Downside Deviation (0%) | 0.0046 |
| Maximum Drawdown | 0.4736 |
| Historical VaR (95%) | -0.0091 |
| Historical ES (95%) | -0.0143 |
| Modified VaR (95%) | -0.0103 |
| Modified ES (95%) | -0.0264 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-09 | 2020-03-23 | NA | -0.4736 | 3363 | 3112 | NA |
| 2007-07-25 | 2007-08-16 | 2007-10-29 | -0.0396 | 68 | 17 | 51 |
| 2007-01-24 | 2007-03-05 | 2007-04-13 | -0.0320 | 56 | 28 | 28 |
| 2006-08-31 | 2006-10-10 | 2006-10-31 | -0.0284 | 39 | 25 | 14 |
| 2006-12-04 | 2007-01-05 | 2007-01-22 | -0.0246 | 32 | 22 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.9 | 0.2 | -0.1 | -0.1 | -0.2 | 0.4 | -0.1 | 1 |
| 2007 | -0.2 | -0.5 | 0.2 | -0.4 | -0.3 | 0.4 | -0.5 | 0.3 | -0.5 | -0.4 | -0.1 | -0.3 | -2.2 |
| 2008 | -1.5 | -0.3 | -0.9 | -1 | 0.3 | -0.2 | -0.8 | -0.4 | -0.9 | -2.5 | -3.8 | 1.1 | -10.3 |
| 2009 | 1.2 | 0.1 | 0.6 | 0.8 | 1.7 | 0.1 | 1.3 | -0.7 | -0.3 | -0.7 | 1 | 0.5 | 5.7 |
| 2010 | -0.2 | -1.7 | 0.7 | -0.2 | 1.3 | 1.6 | 0.5 | 0.8 | 0.8 | 0.1 | 0.4 | 1.6 | 5.8 |
| 2011 | 0.8 | 0 | 0.4 | 0.4 | -0.7 | 0.1 | -0.7 | -0.3 | -0.2 | -0.9 | -0.1 | 0.8 | -0.4 |
| 2012 | 0.5 | 0.3 | 0.3 | 0 | -0.3 | 0.9 | -0.9 | 0.6 | -0.1 | -0.1 | -0.1 | 0.5 | 1.5 |
| 2013 | -1 | -1 | 0.2 | 0.1 | -0.2 | 0.1 | -0.6 | -0.1 | 0.1 | -0.7 | 0.5 | 0.4 | -2.2 |
| 2014 | -0.2 | 0.3 | -0.2 | 0.1 | 0.2 | 0.2 | -0.4 | 0.1 | -0.2 | -0.2 | 0.8 | 0.2 | 0.6 |
| 2015 | 0 | 0.2 | -0.1 | -1.4 | -0.6 | -0.6 | 0.1 | -0.2 | 0.1 | 0.7 | 0.2 | -0.5 | -2.1 |
| 2016 | 1.3 | 0.2 | -1 | 0 | -0.5 | -0.2 | -0.4 | 1 | 0 | -0.1 | 0.7 | 0.5 | 1.5 |
| 2017 | 0.6 | -1 | 0.5 | -0.5 | 0 | 0.2 | 0.1 | 0.2 | -0.3 | -0.3 | -0.4 | 0.4 | -0.5 |
| 2018 | 0.5 | 0.1 | -0.3 | -1.1 | 0.4 | 0.9 | 0 | -0.5 | 0.1 | 1.8 | -0.3 | 0.4 | 1.9 |
| 2019 | -0.3 | -0.5 | 0.7 | 0 | 0.2 | -0.5 | -0.1 | -0.1 | 0.1 | -0.1 | 0.2 | 1.1 | 0.9 |
| 2020 | 0.8 | -0.5 | -0.3 | -0.7 | 1.2 | 0.7 | 0 | 0.1 | -0.2 | 0.2 | 0.7 | 0.4 | 2.5 |
| 2021 | -0.3 | -0.1 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
